IBEX 35 (Spain) Backtesting

IBEX 35 -- Spain Index  

 10,462  58  0.55%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of IBEX 35 and determine expected loss or profit from investing in IBEX 35 over given investment horizon. See also IBEX 35 Hype Analysis, IBEX 35 Correlation, Portfolio Optimization, IBEX 35 Volatility as well as analyze IBEX 35 Alpha and Beta and IBEX 35 Performance
 Time Horizon     30 Days    Login   to change

IBEX 35 'What if' Analysis

December 18, 2017
No Change 0.00  0.0%
In 30 days
January 17, 2018
If you would invest  0.00  in IBEX 35 on December 18, 2017 and sell it all today you would earn a total of 0.00 from holding IBEX 35 or generate 0.0% return on investment in IBEX 35 over 30 days. IBEX 35 is entity of Spain. It is traded as Index on Index exchange.

IBEX 35 Upside/Downside Indicators


IBEX 35 Market Premium Indicators

IBEX 35 lagged returns against current returns

 Current and Lagged Values 

IBEX 35 regressed lagged prices vs. current prices

 Current vs Lagged Prices 

IBEX 35 Backtested Returns

IBEX 35 holds Efficiency (Sharpe) Ratio of 0.211 which attests that IBEX 35 had 0.211% of return per unit of return volatility over the last 1 month. Our approach into determining volatility of a index is to use all available market data together with company specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for IBEX 35 which you can use to evaluate future volatility of the entity. The entity retains Market Volatility (i.e. Beta) of 0.0 which attests that the returns on MARKET and IBEX 35 are completely uncorrelated. Although it is extremely important to respect IBEX 35 current price history, it is better to be realistic regarding the information on equity current price movements. The approach into determining future performance of any index is to evaluate the business as a whole together with its past performance including all available fundamental and technical indicators. By inspecting IBEX 35 technical indicators you can right now evaluate if the expected return of 0.1423% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.55) 

Good reverse predictability

IBEX 35 has good reverse predictability. Overlapping area represents the amount of predictability between IBEX 35 time series from December 18, 2017 to January 2, 2018 and January 2, 2018 to January 17, 2018. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of IBEX 35 price movement. The serial correlation of -0.55 indicates that about 55.0% of current IBEX 35 price fluctuation can be explain by its past prices. Given that IBEX 35 has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of IBEX 35 for similar time interval.
Correlation Coefficient -0.55
Spearman Rank Test -0.87
Price Variance 18524.16
Lagged Price Variance 6593.82

IBEX 35 Lagged Returns

 Regressed Prices 

IBEX 35 Performance vs Madrid Gnrl

The median price of IBEX 35 for the period between Mon, Dec 18, 2017 and Wed, Jan 17, 2018 is 10260.5 with a coefficient of variation of 1.41. The daily time series for the period is distributed with a sample standard deviation of 145.38, arithmetic mean of 10278.25, and mean deviation of 126.02. The Index did not receive any noticable media coverage during the period.
Price Growth (%)